Call up Cobra Gym (Tim Izli) in the Queen Mother Sports Centre. http://www.cobra-gym.co.uk/ There's a quick route there from the coach station (the long way is Buckingham Palace Road -> Vauxhaul Bridge Road or cut through Victoria Train Station. The quick route is Elizabeth Bridge Road -> Eccleston Square -> Gillingham Street.

Unfortunately it looks like thai starts at 1pm on Tuesday but give him a call, they may have a fighter training session on. Michael Johnson was teaching down there for a while, I don't know if he still is. Alternatively if you are an LA Fitness or Fitness First member, there's a couple in Cardinal Place (by the train station).